On the closure in the Emery topology of semimartingale wealth-process sets

Kardaras, Constantinos ORCID: 0000-0001-6903-4506 (2013) On the closure in the Emery topology of semimartingale wealth-process sets. Annals of Applied Probability, 23 (4). pp. 1355-1376. ISSN 1050-5164

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Abstract

A wealth-process set is abstractly defined to consist of nonnegative cadlag processes containing a strictly positive semimartingale and satisfying an intuitive re-balancing property. Under the condition of absence of arbitrage of the first kind, it is established that all wealth processes are semimartingales, and that the closure of the wealth-process set in the Emery topology contains all "optimal" wealth processes.

Item Type:	Article
Official URL:	http://www.imstat.org/aap/
Additional Information:	© 2013 Institute of Mathematical Statistics
Divisions:	Statistics
Subjects:	H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory
JEL classification:	G - Financial Economics > G1 - General Financial Markets > G10 - General
Date Deposited:	30 Jul 2012 13:34
Last Modified:	12 Dec 2024 00:18
URI:	http://eprints.lse.ac.uk/id/eprint/44996

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